Pages that link to "Item:Q3360774"

The following pages link to Martingale and Duality Methods for Utility Maximization in an Incomplete Market (Q3360774):

Displaying 50 items.

• Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients (Q1379951) (← links)
• Hedging in incomplete markets with HARA utility (Q1391763) (← links)
• Necessary and sufficient conditions in the problem of optimal investment in incomplete markets (Q1429115) (← links)
• Optimal consumption from investment and random endowment in incomplete semimartingale markets. (Q1433880) (← links)
• Rational equilibrium asset-pricing bubbles in continuous trading models (Q1566903) (← links)
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets (Q1578577) (← links)
• Maximizing the probability of a perfect hedge (Q1578595) (← links)
• Optimal insurance demand under marked point processes shocks. (Q1578607) (← links)
• Optimal investment consumption model with a higher interest rate for borrowing (Q1589816) (← links)
• Rebalancing multiple assets with mutual price impact (Q1626513) (← links)
• Sensitivity analysis for expected utility maximization in incomplete Brownian market models (Q1648899) (← links)
• Non-linear filtering and optimal investment under partial information for stochastic volatility models (Q1650844) (← links)
• Optimal portfolio and consumption rule with a CIR model under HARA utility (Q1655923) (← links)
• Kim and Omberg revisited: the duality approach (Q1657919) (← links)
• Closed-form optimal strategies of continuous-time options with stochastic differential equations (Q1674900) (← links)
• Quadratic minimization with portfolio and intertemporal wealth constraints (Q1680704) (← links)
• Optimal investment strategies for participating contracts (Q1681198) (← links)
• On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets (Q1687373) (← links)
• Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs (Q1691449) (← links)
• Optimal investment and consumption when allowing terminal debt (Q1698925) (← links)
• An expansion in the model space in the context of utility maximization (Q1709603) (← links)
• The optimal cash holding models for stochastic cash management of continuous time (Q1716921) (← links)
• Macroeconomic environment, money demand and portfolio choice (Q1755268) (← links)
• Utility maximization with a stochastic clock and an unbounded random endowment (Q1774197) (← links)
• Dynamically consistent investment under model uncertainty: the robust forward criteria (Q1788824) (← links)
• Additional logarithmic utility of an insider (Q1805770) (← links)
• Optimal trading strategy for an investor: the case of partial information (Q1805777) (← links)
• On the pricing of contingent claims under constraints (Q1814741) (← links)
• Duality and martingales: a stochastic programming perspective on contingent claims (Q1849531) (← links)
• Asset pricing in an intertemporal partially-revealing rational expectations equilibrium. (Q1867770) (← links)
• Optimal investment with transaction costs and without semimartingales (Q1872364) (← links)
• Optimal investment in incomplete markets when wealth may become negative. (Q1872427) (← links)
• A dynamic maximum principle for the optimization of recursive utilities under constraints. (Q1872429) (← links)
• Optimal portfolio in partially observed stochastic volatility models. (Q1872462) (← links)
• Optimal portfolios for logarithmic utility. (Q1877521) (← links)
• Utility maximizing entropy and the second law of thermodynamics. (Q1879820) (← links)
• Optimal investment with random endowments in incomplete markets. (Q1879894) (← links)
• Stochastic optimization under constraints. (Q1888753) (← links)
• Utility maximization with partial information (Q1890699) (← links)
• Synthetic replication of American contingent claims when portfolios are constrained (Q1890718) (← links)
• A mispricing model of stocks under asymmetric information (Q1926893) (← links)
• Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk (Q1934414) (← links)
• Additive habit formation: consumption in incomplete markets with random endowments (Q1935726) (← links)
• Portfolio selection of a closed-end mutual fund (Q1935935) (← links)
• Two-agent Pareto optimal cooperative investment in incomplete market: an equivalent characterization (Q1937772) (← links)
• Simplified mean-variance portfolio optimisation (Q1938980) (← links)
• The dual optimizer for the growth-optimal portfolio under transaction costs (Q1945044) (← links)
• On utility maximization under convex portfolio constraints (Q1948700) (← links)
• Optimal investment with multiple risky assets for an insurer in an incomplete market (Q1956113) (← links)
• Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation. (Q1972341) (← links)